llk_JLL_Sigma: Build the log-likelihood function of the P-dynamics from the...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Build the log-likelihood function of the P-dynamics from the JLL-based models

Description

Build the log-likelihood function of the P-dynamics from the JLL-based models

Usage

llk_JLL_Sigma(VecPara, res, IdxNONzero, K)

Arguments

VecPara	vector that contains all the non-zero entries of the lower-triangular part of the Cholesky factorization
res	residuals from the VAR of the JLL model (K x T)
IdxNONzero	vector that contains indexes of the matrix of the non-zero entries of the Cholesky factorization
K	dimensions of the variance-covariance matrix (scalar)

Value

value of the log-likelihood function (scalar)

MultiATSM documentation built on April 4, 2025, 1:40 a.m.